What about copying the installed files from Windows machine? A common workaround for installation process with wine is installing the program in another machine with Windows and copying that files to the wine's Program Files directory.
– OlimjonAug 7 '18 at 16:08

Can't reproduce with wine-3.13. That said, for me it fails with Installation directory must be on a local hard drive, which I'm not sure whether wine's or installer's problem. Anyway, FYI: I've initially re-asked your question at Freenode IRC, channel #winehq, Nikolay Sivov replied open a bug report please, so, if you still can reproduce it with latest wine (i.e. 3.13 ATM), that's what you should do. Also, I do not have Windows handy, but if you do, and the installer works there, but for you, with Wine, it would fail with any error (including the one I met), report a bug too.
– Hi-AngelAug 10 '18 at 12:10

I guess there is no chance to install forticlient vpn as it may require Windows drivers installation for the virtual ethernet interface. This is not supported by Wine. Also, are you sure VPN this is not supported by Linux DEB package? hadler.me/linux/forticlient-sslvpn-deb-packages
– olivierb2Aug 10 '18 at 12:24